That is just the way natural casings are - they tend to curve. The curve and that "snap" when you bite into it is the hallmark of natural casings.
The sheep casings are generally thinner than pork which is why they do not curve as bad. Store bought hot dogs (unless they are artisan and in natural casings) are straight as an arrow, but they are made in a plastic casing that is pealed off after the emulsion that becomes the hot dog is set during the cooking process. Collagen will lay flat as a board. However some collagen casings are better than others. If you are going to use collagen, get something from a sausage supply store (such as The Sausagemaker, Butcher & Paker, Waltons, etc...). The LEM ones you see in Bass Pro, Cabela's and Academy Sports may be local, but there is no telling how long they have been hanging on the rack waiting on someone to buy them.
Oh and if you try collagen, make sure that you buy edible collagen. They also make inedible collagen casings that are meant to be pealed and disposed of before eating (the inedible are usually the larger sizes for stuff like bologna, but make sure of what you are buying).
